Table 7 FMOLS estimates (robustness...

Table 7

FMOLS estimates (robustness check)

Variable	Model 1	Model 2	Model 3	Model 4
Dependent variable	Output volatility		Inflation volatility
C	6.465*** (13.865)	6.269*** (20.135)	−22.264*** (−3.415)	14.771*** (2.875)
DCP	−0.005** (−2.284)		−0.121* (−1.660)
MRK		0.126*** (4.089)		0.106** (2.092)
OPS	0.076* (1.950)	0.038** (0.506)	0.036 (0.271)	0.053 (0.453)
DCP*OPS	−0.006* (−1.940)		−0.002** (−2.294)
MRK*OPS		−0.003** (−2.469)		0.002* (1.736)
EXR	0.018*** (7.858)	0.016*** (7.328)	0.006* (1.800)	0.007** (2.019)
RES	0.061*** (3.813)	0.057*** (0.031)	0.976*** (3.176)	−0.114*** (−5.218)
Adj. R²	0.915	0.916	0.573	0.469
Long-run variance	4.162	3.459	7.685	9.469
Mean dep. VAR	10.624	10.624	−0.067	−0.067
SE of reg.	1.053	0.993	1.418	1.582

Variable	Model 1	Model 2	Model 3	Model 4
Dependent variable	Output volatility		Inflation volatility
C	6.465*** (13.865)	6.269*** (20.135)	−22.264*** (−3.415)	14.771*** (2.875)
DCP	−0.005** (−2.284)		−0.121* (−1.660)
MRK		0.126*** (4.089)		0.106** (2.092)
OPS	0.076* (1.950)	0.038** (0.506)	0.036 (0.271)	0.053 (0.453)
DCP*OPS	−0.006* (−1.940)		−0.002** (−2.294)
MRK*OPS		−0.003** (−2.469)		0.002* (1.736)
EXR	0.018*** (7.858)	0.016*** (7.328)	0.006* (1.800)	0.007** (2.019)
RES	0.061*** (3.813)	0.057*** (0.031)	0.976*** (3.176)	−0.114*** (−5.218)
Adj. R²	0.915	0.916	0.573	0.469
Long-run variance	4.162	3.459	7.685	9.469
Mean dep. VAR	10.624	10.624	−0.067	−0.067
SE of reg.	1.053	0.993	1.418	1.582

Note(s): (1) ***, **, * indicate significance at 1%, 5 and 10%, respectively. (2). Figures in bracket “()” are t-value (3). In models 1 and 2, output volatility is the dependent variable. (4). Inflation volatility is the dependent variable in models 3 and 4

Source(s): Authors' own work

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